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Mix Of Fresh Longs & Short Cover Drove SOFR Positioning Swings On Friday

STIR

The combination of Friday’s price action (richer on the day, excluding SFRM3) and preliminary open interest data pointed to a combination of fresh longs being added and short covering across the strip. The whites saw short cover in net terms, as did the greens, while the reds and blues saw fresh longs added in net terms. As a reminder, U.S. data (once again leaning into the “Goldilocks” scenario) and the rally in equities provided the key events during Friday’s NY session.

28-Jul-2327-Jul-23Daily OI ChangeDaily OI Change In Packs
SFRM31,114,7881,113,722+1,066Whites-8,262
SFRU31,111,9961,115,057-3,061Reds+17,381
SFRZ31,267,3451,276,161-8,816Greens-5,700
SFRH4861,237858,688+2,549Blues+12,876
SFRM4805,343799,301+6,042
SFRU4747,414754,006-6,592
SFRZ4778,166761,459+16,707
SFRH5525,108523,884+1,224
SFRM5511,611511,569+42
SFRU5438,606444,870-6,264
SFRZ5348,335347,202+1,133
SFRH6249,949250,560-611
SFRM6181,480178,521+2,959
SFRU6155,331150,924+4,407
SFRZ6175,952172,622+3,330
SFRH7126,444124,264+2,180
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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